Neyman-Pearson Hedging and Dynamic Measures of Risk

Kohlmann, Michael

Neyman-Pearson Hedging and Dynamic Measures of Risk

Dateien

494_1.pdfGröße: 2.2 MBDownloads: 274

Datum

2000

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

In both complete and incomplete markets we consider the problem of fulfilling
a financial obligation x as well as possible at time T if the initial capital is not
sufficient to hedge x. This introduces a new risk into the market and our main
aim is to minimize this shortfall risk by making use of results from bsde theory.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

capital requirement, hedging, Neyman-Pearson hedging, dynamic measures of risk, mean variance hedging

Zitieren

ISO 690

KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of Risk

BibTex

@techreport{Kohlmann2000Neyma-696,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Neyman-Pearson Hedging and Dynamic Measures of Risk},
  number={2000/11},
  author={Kohlmann, Michael}
}

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